Multiperiod conditional distribution functions for conditionally normal GARCH(1, 1) models
نویسندگان
چکیده
منابع مشابه
Multiperiod Conditional Distribution Functions for Conditionally Normal Garch(1, 1) Models
We study the asymptotic tail behavior of the conditional probability distributions of rt+k and rt+1 + · · · + rt+k when (rt )t∈N is a GARCH(1, 1) process. As an application, we examine the relation between the extreme lower quantiles of these random variables.
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ژورنال
عنوان ژورنال: Journal of Applied Probability
سال: 2005
ISSN: 0021-9002,1475-6072
DOI: 10.1017/s0021900200000449